Abstract
Simulation optimization (or optimization via simulation) is defined as the optimization of performance measures based on outputs from stochastic simulations. Although several articles on this topic have been published, the literature on optimization via simulation is still in its infancy. In this paper the research in this field is reviewed and some issues that have not received attention so far are highlighted. In particular, a survey of solution methodologies is presented, followed by a critical review of parallel computing strategies and commercial software packages. A particular emphasis is put on problems with discrete decision variables.
Highlights
Several problems arising in complex system design and operations are characterized by a inherent stochastic nature
Simulation optimization is defined as the optimization of the performance measures of complex systems based on outputs from stochastic simulations
In this paper we have surveyed the main issues related to simulation optimization, with an emphasis on problems with discrete decision variables
Summary
Several problems arising in complex system design and operations are characterized by a inherent stochastic nature. Most of the statistical selection procedures mentioned above involve a two stage process where in the first stage the mean and the variance of each solution are estimated and those estimates used to determine how many additional simulations are needed to make the desired selection In implementing such methods a key issue is how much effort to put into the first stage. When the number of feasible solutions is "fairly large", a heuristic search need to be used in order to select a subset of good solutions to be compared through simulation This can be done within several frameworks originally developed for solving deterministic combinatorial optimization problems. Given an indifference zone δ and the probability of selecting a solution whose performance is within δ units of the optimal performance, a statistical selection procedure is used to prescribe how many solutions need to be sampled from each of the subregions and the surrounding region
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